Responsibilities:
- Lead independent reviews of Front Office model marking and calibration to the observable market.
- Develop model fair value adjustment and uncertainty reserve methodologies.
- Develop control methodologies for independent price testing.
- Work alongside front office trading and quants.
Requirements:
- Minimum MSc in quantitative discipline (preferably PhD).
- Strong working knowledge of mathematical finance and how this is used for derivative pricing.
- Proficiency in C++ and Python.
- Proven written and verbal communication skills.
For more information please send in an application.
